Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0288
Annualized Std Dev 0.1143
Annualized Sharpe (Rf=0%) -0.2522

Row

Daily Return Statistics

Close
Observations 3858.0000
NAs 1.0000
Minimum -0.0817
Quartile 1 -0.0026
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0027
Maximum 0.0743
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0001
Variance 0.0001
Stdev 0.0072
Skewness -0.0988
Kurtosis 16.2834

Downside Risk

Close
Semi Deviation 0.0052
Gain Deviation 0.0056
Loss Deviation 0.0059
Downside Deviation (MAR=210%) 0.0107
Downside Deviation (Rf=0%) 0.0052
Downside Deviation (0%) 0.0052
Maximum Drawdown 0.4253
Historical VaR (95%) -0.0107
Historical ES (95%) -0.0177
Modified VaR (95%) -0.0098
Modified ES (95%) -0.0098
From Trough To Depth Length To Trough Recovery
2005-11-18 2020-03-18 NA -0.4253 3844 3590 NA
2005-11-08 2005-11-08 2005-11-16 -0.0040 7 1 6
2005-11-03 2005-11-03 2005-11-07 -0.0010 3 1 2
2005-11-01 2005-11-01 2005-11-02 -0.0005 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA 0 -3.2 -1.4 -4.7
2006 -0.3 0.2 0.2 0.6 0.6 0.9 0.8 0.2 -0.4 0.7 -0.3 0 3.2
2007 0 0.1 -0.1 0.2 -1.3 0.2 1.1 2.3 -1 -0.8 1 0.1 1.9
2008 0.1 0.6 1 -1.5 -0.1 -0.6 0.9 0.1 2.3 -0.1 0.9 0.4 4.1
2009 0.6 -1.4 0.4 1.8 -2.2 -0.2 -0.4 0.7 -0.1 -1.1 1.2 -0.3 -1
2010 0 0.5 0.1 -0.2 -0.1 -0.5 -0.2 0.5 0.5 -0.3 -0.3 0.2 0.1
2011 0.2 0.4 0.2 0 0.4 0.4 0.8 0.6 -0.1 0.5 -0.4 -0.1 3
2012 0.1 -0.6 0.6 0.4 -0.1 -0.3 0.4 0.2 0.4 0.2 -1 -1.1 -0.8
2013 0.1 0.1 -0.3 -0.1 0.4 0.2 0 0.2 1.3 -0.1 -0.2 -0.1 1.5
2014 1.4 -0.2 -0.1 0.4 -0.5 0.2 0.1 0.1 0.2 0.5 0.3 0 2.4
2015 0.2 -0.5 0.1 -0.2 0 -0.1 0.4 0.1 -0.4 -0.4 0.3 1.5 0.9
2016 0.7 0.2 0 -0.1 -0.8 0.9 0.5 -0.1 -0.6 -0.3 -1.1 0.4 -0.4
2017 -0.1 0 0.2 -0.1 -0.2 -0.2 0.1 -0.5 0.4 -0.1 -0.1 0.3 -0.3
2018 -0.4 0.1 0.8 -0.2 0.2 0.2 0.2 -0.1 -0.3 0.5 1.1 0.1 2
2019 0 0.1 0.8 -0.1 0.2 0 0.2 0.1 0.2 0.2 0.3 -0.1 2
2020 0 -1.2 -1.5 -1 -0.3 0.2 0 -0.7 -0.6 0 0.2 0.3 -4.5
2021 -0.3 0.5 0.6 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-10-27  20   SPY    118. -0.0106   0.0037  -0.0293  -0.0456   0.0431    0.318   -0.156 GLD    47.2  0.0053   0.0261
2 2005-10-28  20   SPY    120.  0.0144   0.0141  -0.0233  -0.0311   0.0583    0.353   -0.148 GLD    47.2  0.0008   0.015 
3 2005-10-31  20.0 SPY    120.  0.0028   0.0014  -0.0237  -0.0342   0.0583    0.343   -0.139 GLD    46.4 -0.0174   0.0002
4 2005-11-01  20   SPY    120.  0.003    0.0064  -0.0172  -0.0339   0.0611    0.361   -0.116 GLD    45.7 -0.0144  -0.0283
5 2005-11-02  20.0 SPY    122.  0.0105   0.0199   0.0044  -0.0159   0.0589    0.349   -0.109 GLD    46.1  0.0087  -0.017 
6 2005-11-03  20   SPY    122.  0.0043   0.0353   0.0221  -0.005    0.0491    0.342   -0.122 GLD    46.0 -0.0037  -0.0259
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart